Just adding to the list of progressive music bands worth checking out:
The Mars Volta

I also saw TMV last year. It was too fucking cool. It's a shame they played so much of Octahedron. Though at one point they played a 40 minute jam around Cygnus... Vismund Cygnus which was fucking perfect in every way.

Britain, mostly. The Beatles are often regarded as the catalyst, mostly due to their efforts with avant garde and eastern music. But the first true progressive rock album was from King Crimson, who somehow managed to write a jazz-metal song in the 60s. It was also fucking amazing:

Just in case you guys haven't heard them, allow me to recommend a very modern progressive band: Karnivool, a fantastic Australian band. Their album Sound Awake is my favourite album, out of any album, ever.